FVC Equity Dispersion Fund

Investment Objective

The Fund’s investment objective is to track the Strategy, which is a synthetic, rules-based, proprietary total return strategy aiming to provide a notional exposure to the correlation risk premium in respect of large capitalisation global equities.

Latest Meeting Note

Meeting 16 Dec 2022

The FVC Equity Dispersion Fund was launched on the Waystone platform in September 2021 and currently manages $175 million. The fund utilizes an equity dispersion strategy that aims to exploit the correlation risk premium by selling impli... Read more

The FVC Equity Dispersion Fund was launched on the Waystone platform in September 2021 and currently manages $175 million. The fund utilizes an equity dispersion strategy that aims to exploit the correlation risk premium by selling implied versus realized volatilities on equity market indices and buying implied versus realized volatilities on single stocks. In contrast to traditional equity dispersion approaches, which buy variance on the top 50-100 index constituents, the fund ranks stocks based on a proprietary multi-factor model that includes volatility factors (such as implied vs sector implied) and fundamental factors (such as earnings forecasts). It then sells variance on the S&P 500 index and buys variance on the S&P 500's top 100 constituents using a score-based weighting methodology. The strategy can be implemented with either a fixed or dynamic equal vega or equal theta allocation. The allocation process is dynamic and adjusts the portfolio based on factors like correlations and implied volatilities. The strategy typically operates in a countercyclical fashion, increasing exposure when the correlation risk premium is "rich", meaning when implied correlations are high, and decreasing exposure when they are low.

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2022 0.5 0.9 1.0 0.8 0.8 1.0 0.0 0.1 0.5 0.8 0.5 0.7 0.7
2021 0.9 0.3 0.2 0.1 0.4 0.8 0.3 0.9 1.0 0.4 1.0 0.9 0.7

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